As others have said, in the Faith of the Seven, the forms maybe "Pagan" (Greco/Roman, Norse, Indoeuropean or whatever) but its message and organizational structures are similar to medieval Catholicism. So is the fact that is based on a book, the Seven Pointed Star. You could have a Politheistic Europe with the right POD, but not one in which religion ends up been so similar to Christianity in terms of the message and morality taught. Bear in mind that concepts such us "sin", and the examples of what constitutes a sin in A Song of Fire and Ice universe are issued from a Christian conception. A Pagan Europe might not have such concepts, or, if they do, have an entirely different ethical conception.